Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0836 |
| Annualized Std Dev | 0.2165 |
| Annualized Sharpe (Rf=0%) | 0.3860 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3617.0000 |
| NAs | 1.0000 |
| Minimum | -0.1219 |
| Quartile 1 | -0.0051 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1130 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0136 |
| Skewness | -0.5110 |
| Kurtosis | 9.9626 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0094 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0099 |
| Downside Deviation (0%) | 0.0099 |
| Maximum Drawdown | 0.6197 |
| Historical VaR (95%) | -0.0209 |
| Historical ES (95%) | -0.0339 |
| Modified VaR (95%) | -0.0212 |
| Modified ES (95%) | -0.0430 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-11 | 2009-03-09 | 2013-01-25 | -0.6197 | 1389 | 412 | 977 |
| 2020-01-21 | 2020-03-18 | 2020-08-07 | -0.3565 | 140 | 41 | 99 |
| 2018-09-21 | 2018-12-24 | 2019-07-10 | -0.2143 | 200 | 65 | 135 |
| 2015-06-24 | 2016-02-11 | 2017-02-21 | -0.1807 | 418 | 161 | 257 |
| 2014-07-07 | 2014-10-13 | 2014-11-25 | -0.1081 | 101 | 70 | 31 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 | -0.3 | -0.4 | 0.2 | -0.3 |
| 2007 | 0.8 | -1.2 | 0.1 | -0.3 | 0.3 | -0.2 | -0.9 | 2 | 1.8 | -1.5 | 0.3 | -0.3 | 0.8 |
| 2008 | 1.3 | -3.2 | 3.2 | 0 | 1 | -1 | -1.7 | -0.7 | -0.8 | 2.8 | -7.6 | 1.8 | -5.2 |
| 2009 | -2.3 | -0.1 | 3.4 | -0.1 | 3.9 | 0.5 | 1.1 | -2.2 | -2.8 | -2.4 | 2.1 | -0.4 | 0.3 |
| 2010 | 1.2 | 1 | 0.7 | -1.6 | -1.5 | 0.1 | 0.8 | 3.6 | 0.1 | -0.7 | 2.6 | 0 | 6.4 |
| 2011 | 1.4 | -1.5 | 0.5 | -0.1 | -1.5 | 1.3 | -0.3 | -1.2 | -2.6 | -2.4 | 0.1 | 0.5 | -5.8 |
| 2012 | 0.9 | 0.9 | 0.9 | 0.6 | -3 | 2.4 | -0.5 | 0.1 | 0.1 | 1.3 | 0.4 | 1.7 | 5.8 |
| 2013 | 0.9 | 0.2 | -1 | -0.9 | -1.5 | 0.9 | 1.8 | -1.4 | 0.8 | -0.1 | 0.1 | 0.2 | -0.1 |
| 2014 | -1.5 | 0.4 | 1.1 | 0.3 | 0.4 | 1.1 | -0.3 | -0.1 | -1.2 | 1.7 | -0.2 | -0.8 | 0.8 |
| 2015 | -1.4 | 0 | -0.2 | 1 | 0.2 | 0.9 | 0.6 | -2.8 | 0.5 | 0.1 | 1.1 | -1.2 | -1.2 |
| 2016 | 0.4 | 2.6 | -0.3 | -0.5 | -0.1 | 1 | -0.2 | 0.4 | 0.6 | -1 | -0.5 | -0.5 | 2 |
| 2017 | -0.1 | 1.4 | -0.1 | 0.3 | 0.8 | 0.6 | 0.3 | 0.4 | 0.5 | 0.2 | -0.1 | -0.3 | 3.8 |
| 2018 | -0.5 | -1.4 | 1.5 | 0 | 0.7 | 0.5 | -0.7 | 0 | 0.1 | 1.9 | -0.1 | 1 | 2.8 |
| 2019 | -1.4 | 0.7 | 1.4 | -1.1 | -1.5 | 0.7 | -1 | -0.2 | -0.9 | 0.6 | -0.9 | 0.2 | -3.3 |
| 2020 | -0.9 | -0.4 | -4.6 | -3.2 | 1.5 | 0.4 | -1.1 | 1 | 0.9 | -1.3 | 1.5 | 0.3 | -5.8 |
| 2021 | 2.1 | 2.3 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-09-21 51.7 SPY 132. -0.00480 -0.0027 0.0134 0.0595 0.0906 0.286 0.336 GLD 58.0 0.0121 0.0133
2 2006-09-22 51.5 SPY 131. -0.003 -0.0037 0.0132 0.0565 0.0835 0.277 0.352 GLD 58.5 0.0095 0.0192
3 2006-09-26 52.5 SPY 134. 0.0083 0.0134 0.029 0.078 0.0987 0.332 0.313 GLD 58.7 0.0041 0.032
4 2006-09-27 52.5 SPY 134. 0.00120 0.00930 0.0254 0.0721 0.100 0.338 0.319 GLD 59.8 0.0182 0.0445
5 2006-09-29 52.6 SPY 134. -0.0008 0.016 0.0223 0.0499 0.089 0.336 0.279 GLD 59.5 -0.0054 0.0166
6 2006-10-02 52.5 SPY 133. -0.0037 0.0045 0.0187 0.0413 0.0816 0.304 0.276 GLD 59.2 -0.0054 0.0111
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
